BGHSX vs. SPY
BGHSX (BrandywineGLOBAL - High Yield Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - BGHSX is a High Yield Bonds fund managed by Franklin Templeton, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 3 years, BGHSX returned 6.94%/yr vs 20.74%/yr for SPY. Their 0.48 correlation means their historical movements had little consistent relationship. BGHSX charges 0.54%/yr vs 0.09%/yr for SPY.
Performance
BGHSX vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, BGHSX achieves a -0.26% return, which is significantly lower than SPY's 11.70% return.
BGHSX
- 1D
- -0.10%
- 1M
- -0.80%
- 6M
- -0.30%
- YTD
- -0.26%
- 1Y
- 2.87%
- 3Y*
- 6.94%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 3.53%
SPY
- 1D
- 1.42%
- 1M
- 1.73%
- 6M
- 9.53%
- YTD
- 11.70%
- 1Y
- 23.22%
- 3Y*
- 20.74%
- 5Y*
- 13.05%
- 10Y*
- 15.09%
- ALL TIME*
- 10.83%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $38.19B | $36.17B | $39.59B |
BGHSX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
BGHSX BrandywineGLOBAL - High Yield Fund | -0.26% | 5.55% | 9.90% | 13.21% | -10.23% | 1.12% |
SPY State Street SPDR S&P 500 ETF | 11.70% | 17.72% | 24.89% | 26.18% | -18.18% | 8.39% |
Correlation
The correlation between BGHSX and SPY is 0.56, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.56 |
Correlation (3Y) Balances recent behavior with more history. | 0.50 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.48 |
Correlation (All Time) Calculated using the full available price history since Aug 4, 2021 | 0.48 |
The correlation between BGHSX and SPY has been stable across timeframes, ranging from 0.48 to 0.56 - a consistent structural relationship.
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Return for Risk
BGHSX vs. SPY — Risk / Return Rank
BGHSX
SPY
BGHSX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BrandywineGLOBAL - High Yield Fund (BGHSX) and State Street SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| BGHSX | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.97 | ||
| Sortino ratioReturn per unit of downside risk | -1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.32 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 0.96 | 2.62 | -1.66 |
| Martin ratioReturn relative to average drawdown | 3.86 | 11.20 | -7.33 |
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Drawdowns
BGHSX vs. SPY - Drawdown Comparison
The maximum BGHSX drawdown since its inception was -14.30%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BGHSX and SPY.
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Drawdown Indicators
| BGHSX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.30% | -55.19% | +40.89% |
Max Drawdown (1Y)Largest decline over 1 year | -2.67% | -8.88% | +6.21% |
Max Drawdown (3Y)Largest decline over 3 years | -4.55% | -18.76% | +14.21% |
Max Drawdown (5Y)Largest decline over 5 years | -14.30% | -24.50% | +10.20% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -0.80% | 0.00% | -0.80% |
Average DrawdownAverage peak-to-trough decline | -3.14% | -9.01% | +5.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.67% | 2.08% | -1.41% |
Volatility
BGHSX vs. SPY - Volatility Comparison
The current volatility for BrandywineGLOBAL - High Yield Fund (BGHSX) is 0.57%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.84%. This indicates that BGHSX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BGHSX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.57% | 3.84% | -3.27% |
Volatility (6M)Calculated over the trailing 6-month period | 2.30% | 10.23% | -7.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.12% | 12.87% | -9.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.42% | 17.19% | -12.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.42% | 17.96% | -13.54% |
BGHSX vs. SPY - Expense Ratio Comparison
BGHSX has a 0.54% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
BGHSX vs. SPY - Dividend Comparison
BGHSX's dividend yield for the trailing twelve months is around 5.64%, more than SPY's 0.99% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BGHSX BrandywineGLOBAL - High Yield Fund | 5.64% | 7.08% | 7.49% | 5.23% | 5.32% | 4.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 0.99% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
BGHSX and SPY have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (3.84%) compared to BGHSX (0.57%). In terms of maximum drawdown, BGHSX dropped -14.30% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.82 vs 0.84), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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